Averaged periodogram estimation of long memory

DOI10.1016/0304-4076(95)01742-9zbMath0854.62088OpenAlexW2041817790MaRDI QIDQ1922368

Peter M. Robinson, Ignacio N. Lobato

Publication date: 19 January 1997

Published in: Journal of Econometrics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/0304-4076(95)01742-9

zbMATH Keywords

Monte Carlo long memory time series asymptotic mean squared error finite-sample distribution averaged periodogram estimation spectral density near zero frequency

Mathematics Subject Classification ID

Asymptotic distribution theory in statistics (62E20) Inference from stochastic processes and spectral analysis (62M15)

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